Sergei Siyanko

Dr Sergei Siyanko

Department of Mathematics
University College London
Gower Street, London WC1E 6BT
United Kingdom

E-mail: sergei.siyanko.10(at)alumni.ucl.ac.uk

Research Interests

Pricing in incomplete markets with jumps and, in particular, when jumps are directed towards fundamental value of the stock; asymptotic methods for pricing Asian derivatives.

Work Experience

Pricing Manager (since 2004). Most of my career has been with American Express whom I joined in Moscow in 1995. I have moved to the UK through an intra-company transfer in 1998 and have done a number of roles across different functions including IT support, change management, business reporting, management finance, decision support and decision science.

Education

University College London. PhD in Applied Mathematics Reseach. Supervisor Prof. W. Shaw. 2011 - 2016.

King's College London. MPhil/PhD in Applied Mathematics Reseach. Supervisor Prof. W. Shaw. 2008 - 2010.

King's College London. MSc in Financial Mathematics. Prize for the best overall performance on the programme. 2005 - 2007.

Moscow Institute of Physics and Technology. MSc in Microelectronics. 1988 - 1994.

Publications

Software development

This is a Microsoft Windows program to demonstrate practical applications of my model for pricing derivatives in a presence of mean-reverting jumps. It interprets the volatility smile and skews phenomena as market's aversion to the risk of price corrections and explicitly calculates this risk as assumed by the markets. Press the following link to access the installation package, unzip it into your local drive and run a set-up program: implvol.zip. Alternatevly, please feel free to try an abriviated version in Java: implvol.jar, help.